Welcome to the UE 5 haters club. Snacks in the corner, tea in the back, bingo every Friday at 9 am.
Also, the only way to avtually “fix” it is to play in viewport, then actually press Shift+F1, then actually use your actual nouse cursor to press the stop button. No shortcuts allowed. You need to repeat this a couple times for it to work but eventually when UE5 feels like its tortured you enough, it will bring the cursor back until it disappears next time.